We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis to investigate the dynamic behavior of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to identify potential extreme movements and...

The paper examines the intraday dynamics and volatility transmission among three European stock markets: Germany, France, the UK during the financial crisis of 2007-to-2009. After estimating the structural break date using Bai-Perron (1998, 2003), we analyze the pre-crisis and crisis periods...